Selection and Market Timing Ability of BIST 30 Indexes Funds

Arzu Şahin
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Arzu Şahin: Adana Science and Technology University

Business and Economics Research Journal, 2017, vol. 8, issue 1, 63-81

Abstract: The index fund managers, who aim to offer the investor at least as much as the return of the base index, are expected to exhibit selection and timing ability. Based on this expectation the aim of this study is to investigate the selection and timing ability of BIST 30 indexes funds. Therefore, the selection and timing ability of fund managers were tested by applying Treynor-Mazuy, Henriksson-Merton and Jensen-Alpha methods to the daily returns of 7 BIST 30 indexes funds between the time period of January 2005 and December 2015. The analysis findings indicate that none of the 7 funds had statistically significant positive alphas and related timing coefficients so BIST 30 index funds managers did not have selective ability and market timing ability.

Keywords: Index Mutual Funds; Selection; Timing; Quadratic Regression; Dummy Variable Regression (search for similar items in EconPapers)
JEL-codes: C32 G11 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ris:buecrj:0259

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